FFO Discontinuation Date Pushed Back at Request of RMA, SIFMA

Release Date: June 2, 2016

Contact: Katrina Cavalli, 212.313.1181, [email protected]

Frank Devlin, 215.446.4137, [email protected]

FFO Discontinuation Date Pushed Back at Request of RMA, SIFMA

Philadelphia, PA, and New York, NY, June 2, 2016— The Risk Management Association (RMA) and the Securities Industry and Financial Markets Association (SIFMA) announced today that ICAP has agreed to the Associations’ extension request and will continue publishing its Fed Funds Open (FFO) rate through September 30, 2016. ICAP originally chose a final date of July 27, 2016, but the Associations requested a later date to avoid possible market disruption from the discontinuation of the Fed Funds Open.

RMA and SIFMA have recommended, in a press release dated May 4, 2016, the Federal Reserve Bank of New York’s new Overnight Bank Funding Rate (OBFR), which began publishing on March 2, 2016, as an alternative to the FFO for pricing and performance reporting purposes.

In order to avoid any confusion in the market, the Associations are making participants aware of the FFO’s end date. RMA and SIFMA are also stressing that participants should be planning now to move to their preferred benchmark alternative.

“Considering the wide use of FFO in various trading strategies including securities lending, margin lending, and swaps, it makes sense for the industry to work towards a non-disruptive implementation time-frame that will allow for all market participants to understand any changes. We believe that this extra time will allow the industry to achieve this goal,” said Fran Garritt, RMA’s Director of Securities Lending & Market Risk.

“We believe clarity around the industry incorporation of OBFR is important to minimize disruption and meet the expectations of all market participants and we hope the Associations’ recommendations and further work over the next few months will ensure a smooth changeover,” said Rob Toomey, Managing Director and Associate General Counsel at SIFMA.

These are recommendations only and are intended for SIFMA and RMA member firms in order to promote the smooth functioning of the market. These recommendations do not and should not restrict the flexibility of counterparties to negotiate the specific terms of any particular transaction or contractual relationship.